Single Stock Futures at Eurex Exchange. February 2016

Single Stock Futures at Eurex Exchange February 2016

February 2016

Single Stock Futures at Eurex Exchange

Agenda • • • • • • •

1,000 + Single Stock Futures (SSFs) are tradable at Eurex Exchange Majority of SSF volume is executed via Eurex Trade Entry Services Extensive usage of international underlying countries Harmonized contract specifications ease your trading Eurex Trade Entry Services offer you trading anonymity with safety Market Makers provide liquidity You never pay more than EUR 200 for an order book trade or EUR 300 for a block trade • SSFs provide you with various trading opportunities • Further information • Contacts

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February 2016

Single Stock Futures at Eurex Exchange

1000+ Single Stock Futures are tradable at Eurex Exchange • Single Stock Futures are traded on 21 exchanges globally. • Eurex Exchange SSFs have undergone exceptionally positive development – the number of tradable products and the trading volumes have increased continuously. • Eurex Market Participants are now able to trade SSFs on 1,000+ names, from 20 different global markets, including emerging markets. • In case you have additional names that you would like to see listed, let us know.

SSF Currency

Underlying Country

Index Components Covered

CHF

Switzerland

SMI, SLI and SMIM

65

Cash / Physical

Austria

ATX

37

Cash / Physical

Belgium

BEL 20

27

Cash / Physical

Germany

DAX, MDAX and TecDAX

162

Cash / Physical

Spain*

IBEX 35

61

Cash

9

Physical

EUR

GBP

USD

No. of SSFs

Settlement Type of Flexible SSFs

Finland

OMX Stockholm 30

35

Cash / Physical

France

CAC 40

121

Cash / Physical

Greece

FTSE/Athex 20 and GD

11

Cash

Ireland

ISEQ 20 Index

10

Cash

Italy

FTSEMIB

68

Cash / Physical

Netherlands

AEX Index

46

Cash / Physical

Norway

OSEBX

6

Cash

Portugal

PSI 20

7

Cash

Sweden

OMX Stockholm 30

10

Cash

Poland

WIG 20

24

Cash

UK

FTSE 100 Index

135

Cash

Brazil Russia

RDXxt USD Index

9 26

Cash Cash

U.S.

S&P 500

191

Cash

55

Cash

Canada

Total

1,115

*Some shares are included in different indexes. **Two groups of standard and flexible futures contracts on Spanish underlyings are available. They differ only in the settlement type (cash settlement vs. physical delivery).

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February 2016

Single Stock Futures at Eurex Exchange

Majority of SSF volume is executed via Eurex Trade Entry Services

14

70

12

60

10

50

8

40 6

30

4

20

Open Interest

80

Millions

Millions

Traded Contracts

• In 2015, more than 122 million contracts were executed among 115 Trading Participants, and most of the volume via Eurex Trade Entry Services: – 99 percent of the volume is executed via Eurex Trade Entry Services, which has a minimum Block Trade size of one contract. – 79 percent of block trades are not disclosed intra-day. – Flexible Futures have gained more and more popularity. Volume and volume share of flexible SSFs Year Traded Contracts Volume Share 2015 8,01% 9,850,608 2014

12,014,597

9,69%

2013

21,030,640

11,71%

2012

14.754.458

7,52%

2011

16.599.183

9,52%

2010

4.607.250

2,28%

10

2

2009

1.950.658

1,67%

-

-

2008

180.483

0,14%

CONTRACT VOLUME

OPEN INT ADJUSTED

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February 2016

Single Stock Futures at Eurex Exchange

Extensive usage of international underlying countries • 72 percent of the flow is provided by UK-based users.

Single Stock Futures by underlying country Underlying country

• 81 percent of the volumes are executed with institutional clients. • 73 percent of the volumes are traded in German, Spanish and French SSFs. Volume distribution by member underlying country Netherlands 4%

Spain 3%

Germany Spain France Italy Netherlands Others

Volume (2015)

49,377,009 20,870,886 19,857,848 7,449,236 6,970,029 18,334,531

Volume distribution by account type 2014/2014/2015 (inside out)

Others 1% Great Britain

France 6%

Germany France

Germany 14%

Great Britain 72%

Netherlands

17.74% 15.15% 12.02% 5.17% 8.38% 7.59%

A - Agent M - Market Maker P - Principal

Spain 82.81% 76.47% 74.67%

Others

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February 2016

Single Stock Futures at Eurex Exchange

Harmonized contract specifications ease your trading Contract terms Contract size

Minimum price movement Settlement

Final settlement price

Last trading day

Trading hours

Up to 36 months; the next 13 calendar months and the two following yearly months (December). 10, 100 or 1000 shares (exception: 1 share for SSF on Lindt & Sprüngli and Sika). EUR / CHF / USD / Pence: 0.0001 Exception in SSF on Lindt & Sprüngli: CHF 0.001 Standard: Cash settlement, payable on the first exchange day following the last trading day; Selected Spanish Single Stock Futures are also available with physical delivery: 100 shares of the underlying three exchange days following the last trading day.

Standard: Based on the closing price of the respective shares calculated by the electronic trading system of the relevant underlying exchange on the last trading day. Brazilian / Canadian / U.S. SSFs: Based on the opening/opening auction price of NYSE Euronext / NASDAQ / AMEX. Standard: The third Friday of the respective month, for Italian SSFs the day before the third Friday of each maturity month, if this is an exchange day; otherwise the exchange day preceding that day. Order book: 09:00 - 17:45 CET; Brazilian / Canadian / U.S. SSFs: 09:00 – 22:00 CET Eurex TES: 09:00 - 19:30 CET ; Brazilian / Canadian / U.S. SSFs: 09:00 – 22:30 CET Last trading day: 09:00 - 17:45 CET; Russian SSFs: 09:00 - 16:40 CET; Brazilian / Canadian / U.S. SSFs: 15:30 CET (for March contracts: 14:30 CET)

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February 2016

Single Stock Futures at Eurex Exchange

Eurex Trade Entry Services offer you trading anonymity with safety • Block Trade facility – The Eurex TES facility enables you to execute and clear bilateral trades in SSFs. Capped trading fees and a minimum Block Trade size of one contract significantly reduces your trading costs. • Non-disclosure facility – Block Trades in SSFs which exceed a 1,000 lots are not disclosed intra-day in the relevant Eurex GUI window. – The trade volume can be viewed in the report or in the Eurex Trading GUI Window (“Market Information > Online Time and Sales Sheet”) on the following exchange date.

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February 2016

Single Stock Futures at Eurex Exchange

Eurex Trade Entry Services offer you trading anonymity with safety • Bulk load panel – The bulk load panel within the Block Trade facility further enhances the trading efficiency. This functionality enables the import of multiple Block Trades in futures directly from a file in csv format into the Eurex system. • Flexible Futures – Eurex TES Flexible Futures enable you to define the following parameters: • Maturity: You can choose any exchange day between the first trading day after the trade date and the last standard maturity date of the affected futures contract. • Settlement type: In addition to cash settlement, you can choose physical delivery for SSFs on Austrian, Belgian, Dutch, Finnish, French, German, Italian, Spanish and Swiss equities. – All trades executed via the Flexible Futures facility are not disclosed.

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February 2016

Single Stock Futures at Eurex Exchange

Market Makers provide liquidity • Currently, five Market Makers are providing liquidity in the following packages: Package

Package ID

EURO STOXX 50®

ES50

German

DE

French

FR

Italian

IT

Dutch

NL

Spanish

ES

Swiss

CH

Eurex products contained

Number of package components

All SSFs on components of the EURO STOXX 50® index All SSFs on components of the DAX 30® index All SSFs on components of the CAC40® index All SSFs on components of the FTSE MIB® index All SSFs on components of the AEX® index All SSFs on components of the IBEX 35® index All SSFs on components of the SMI® index

Number of monthly exceptions

50

10

30

6

40

10

31

12

24

6

30

12

20

4

• Obligations of Market Makers (see Eurex Circular 283/12): – Provide permanent quotes in SSFs of the relevant package. The quote presence should be at least 80 percent of the daily trading period (CET 09:00 – 17:30) on a monthly average. – The maturities to be quoted should be the front month contract. – Maximum spreads (in product currency). • Market Makers fulfilling the quote obligations will be granted a fee refund for transactions on the M account: 80 percent for order book trades and 60 per cent for Eurex Block Trades.

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Spread class 1 2

Bid prices up to (EUR/CHF) ≤ 50 > 50 ≤ 50 > 50

Maximum spreads (EUR/CHF) 0.05 0.10% 0.10 0.20%

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February 2016

Single Stock Futures at Eurex Exchange

You never pay more than EUR 300 for an order book trade or EUR 450 for a block trade • Among the major European markets, Eurex offers the most competitive fees for trading SSFs: Product currency

Transaction fees Fee per lot Fee cap as of 3000 lots Orderbook TES Orderbook TES

Cash settlement Fee per lot

Fee cap in currency

EUR

0.10

0.15

300

450

0.10

300

CHF/USD

0.15

0.23

450

690

0.15

460

GBP

0.08

0.12

240

360

0.08

240

• Both transaction and clearing costs are covered by one fee. • Equal fees for all types of clients. • For transactions entered via the Block Trade and Flexible Futures facility, the fees for Eurex Trade Entry Services are applied.

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February 2016

Single Stock Futures at Eurex Exchange

SSFs provide you with various trading opportunities Hedging

You can protect your portfolio against adverse market moves by selling or buying SSFs rather than equities.

Leverage

Use a much smaller capital outlay to achieve the same amount of exposure.

Pairs trading

You know there is a positive correlation in the daily price movement between two stocks. When a negative correlation occurs you go short on the outperforming stock and long on the underperforming one, betting that the "spread" between the two would eventually converge.

130/30 Strategy

A 130/30 ratio implies shorting stocks up to 30 percent of the portfolio value and then using the funds to take a long position in the stocks you feel that will outperform the market.

Cash equitization

A fund manager knows he will receive EUR 50 million to invest in European equities in the near future and is concerned that the market will be higher by the time he receives the cash. Therefore he buys SSFs to forward fix the cost.

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Jan-16

0 Oct-15

200

Jul-15

400 200

Apr-15

600 300

Jan-15

400

Oct-14

800

Jul-14

500

Apr-14

1,200

Jan-14

Millions

5 500

4 400

3 300

1 100

0 0 0

12 2.5

10 2.0

8

6

1.5

4 1.0

100 2 0.5

0 0 0.0

Open Interest

Thousands

600

Open Interest

Jan-16

Oct-15

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Apr-13

Jan-13

200

Traded Volume

6

Millions

Finish Single Stock Futures

Oct-13

1,000 2

50

Open Interest

Austrian Single Stock Futures

Jul-13

600

Apr-13

1,400

Millions

100

Traded Volume

150

Open Interest

200

Thousands

250

Thousands

Jan-16

Oct-15

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Apr-13

Jan-13

Millions

Traded Volume

4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0

Jan-13

Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16

Thousands

Traded Volume

Single Stock Futures at Eurex Exchange February 2016

Single Stock Futures – Country Segments Development Belgian Single Stock Futures

French Single Stock Futures

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12

0.5 0.4

0.0 0.2 0.5

0.0 0.0

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Jan-16

0.6

Oct-15

1.0

Jul-15

0.8

Apr-15

1.0

Jan-15

1.5

Oct-14

1.2

Jul-14

1.4

Apr-14

2.0

Jan-14

4.0

3.5

3.0

2.5

2.0

1.5

1.0

900 800 700 600 500 400 300 200 100 0

Open Interest

Thousands

800 700 600 500 400 300 200 100 0

Open Interest

Jan-16

Oct-15

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Apr-13

Millions

Traded Volume

Open Interest

2.0 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0

Thousands

British Single Stock Futures

Oct-13

1.6

Millions

German Single Stock Futures

Jul-13

2.5

Apr-13

0 Jan-13

5

Millions

10

Traded Volume

15

Millions

Jan-16

Oct-15

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Apr-13

Jan-13

Millions

20

8 7 6 5 4 3 2 1 0

Open Interest

Millions

Traded Volume

25

Jan-13

Jan-16

Oct-15

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Apr-13

Jan-13

Traded Volume

Single Stock Futures at Eurex Exchange February 2016

Single Stock Futures – Country Segments Development Italian Single Stock Futures

Dutch Single Stock Futures

13

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Jan-16

Dec-15

Nov-15

Oct-15

Sep-15

Aug-15

Jul-15

Jun-15

May-15

Apr-15

Mar-15

Feb-15

Jan-15

Dec-14

Nov-14

Oct-14

Sep-14

Aug-14

Jul-14

Jun-14

May-14

Apr-14

Mar-14

Feb-14

Jan-14

Dec-13

Nov-13

Oct-13

Sep-13

Aug-13

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Millions

Traded Volume

2.5

2.5 800

2.0 700

600

1.5 500

1.0

400

300

0.5

0.0 2.0

1.5

1.0

Open Interest

Millions

3.0

Open Interest

9 8 7 6 5 4 3 2 1 0

Thousands

Jan-16

Dec-15

Nov-15

Oct-15

Sep-15

Aug-15

Jul-15

Jun-15

May-15

Apr-15

Mar-15

Feb-15

Jan-15

Dec-14

Nov-14

Oct-14

Sep-14

Aug-14

Jul-14

Jun-14

May-14

Apr-14

Mar-14

Feb-14

Jan-14

Dec-13

Nov-13

Oct-13

Sep-13

Aug-13

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Millions

Traded Volume

Single Stock Futures at Eurex Exchange February 2016

Single Stock Futures – Country Segments Development Spanish Single Stock Futures

0.5

0.0

Swiss Single Stock Futures

200

100

0

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February 2016

Single Stock Futures at Eurex Exchange

Contacts Eurex Frankfurt AG Head Office

Eurex France Representative Office

Eurex Hong Kong Representative Office

The Cube (visitors address) Mergenthalerallee 61 65760 Eschborn Germany T: +49 69 211-13940 F: +49 69 211-14477 [email protected]

17, Rue de Surène 75008 Paris France T: +33-1-55 27-6767 F: +33-1-55 27-6750 [email protected]

Room 1101, 11F 1 Duddel Street, Central Hong Kong T: +852-31 80-92 70 F: +852-31 80-94 60 [email protected]

Eurex Frankfurt AG Singapore Branch

Deutsche Börse Group Tokyo Representative Office

Eurex Zürich AG

50 Raffles Place #21-05 Singapore Land Tower Singapore 048623 Republic of Singapore T: +65 6304 5251 [email protected]

3/F, Metlife Kabutocho Building 5-1, Nihonbashi Kabutochu, Chuo-ku, Tokyo 103-0026 Japan T: +81-3-58 47-82 04 F: +81-3-58 47-79 01 [email protected]

Löwenstrasse 3 8001 Zurich Switzerland P: +43-430-7126 F: +43-430-7290 [email protected]

Eurex London Office

Eurex New York Office

Eurex Chicago Office

11 Westferry Circus, Canary Wharf London, E14 4HE United Kingdom T: +44-20-7862-7213 F: +44-20-7862-7297 [email protected]

60 Broad Street, 26th floor New York, NY 10004 USA T: +1 212 918 - 4828 F: +1 312 544 - 1579 [email protected]

233 South Wacker Drive, Suite 2450 Chicago, IL 60606 USA T: +1 212 918 - 4828 F: +1 312 544 - 1579 [email protected]

Eurex Functional Helpdesks Trading T: +49 69 211-1 12 10

Eurex Technical Helpdesk

Clearing T: +49 69 211-1 12 50

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Technical T: +49 69 211-1 12 00

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February 2016

Single Stock Futures at Eurex Exchange

Further information • Contract specifications and all kind of product parameters: – www.eurexchange.com/exchange-en/products/equ/fut/ • Dynamic Product List: – http://www.eurexchange.com/exchange-en/products/dynamic-product-list • Adjusted contracts due to corporate actions: – www.eurexchange.com/exchange-en/products/equ/corporate-actions-procedures/ • Eurex Trade Entry Services: – Block trading and bulk load tool: http://www.eurexchange.com/exchange-en/products/eurex-trade-entry-services/block-trades – Non-disclosure of Block Trades: http://www.eurexchange.com/exchange-en/products/eurex-trade-entry-services/non-disclosure-facility – Flexible futures and settlement type of the flexible contracts: http://www.eurexchange.com/exchange-en/products/eurex-trade-entry-services/flexible-contracts • Market Making obligations and Market Makers: http://www.eurexchange.com/exchange-en/trading/market-model/market-making

• Find a broker: www.eurexchange.com/exchange-en/resources/participant-list/brokers/ • Risk based margining and risk parameters: www.eurexclearing.com/clearing-en/risk-management/risk-parameters/ • Portfolio-based margining http://www.eurexclearing.com/clearing-en/risk-management/eurex-clearing-prisma www.eurexchange.com

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February 2016

Single Stock Futures at Eurex Exchange

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